It is a challenge in the application of phase change materials (PCMs) to effectively prevent leakage and improve thermal conductivity while still maintaining high enthalpy and excellent mechanical properties. In this work, a novel phase change composite (PCC) has been successfully fabricated via in-situ filling the prepared microcapsules (Paraffin@SiO2) together with boron nitride (BN) into the poly (ethylene glycol) (PEG) based polyurethane (PUPEG). The microcapsule acted as a chain extender and significantly improved the mechanical properties of PCCs with high tensile strength (from 6.10 MPa to 13.31 MPa). And the composite exhibited superior leakage resistance (a leakage rate of only 0.436%). More importantly, with such excellent mechanical properties and leakage resistance, a relatively high enthalpy value (up to 112.23 J/g) was maintained. And the synergistic effect of microcapsules and BN on the enhancement of thermal conductivity was explored in detail. The 40 wt% microcapsules helped BN to increase the thermal conductivity of the composite by 32.9% and greatly improved the heat transfer rate of the composite. Additionally, outstanding thermal stability made this novel PCC have a broad application prospect.